Concepedia
Stochastic Processes and their Applications · 2006 · 243 citations · 10 references
Natural SciencesMathematicsDynamical SystemsStochastic ProcessesCalculus Of VariationsJump ProcessesLaw Of Large NumbersLimit TheoremsPerturbation TheoryJump ConditionsJump PhenomenonLimit Laws
10
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text
Business, Economics, Finance +17
Power and Bipower Variation with Stochastic Volatility and Jumps
Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations
Business, Finance, Probability Theory +15
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 948 citations
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
Lan Zhang · Bernoulli · 2006 · 568 citations · Full text
Business, Economics, Finance +16